The DOI matches its Crossref record; 65 of the 65 references it cites were found in a registry or an index.
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“Although the transaction cost models of Bollerslev et al. (2018) and Koijen et al. (2018) are quite conservative, we follow an even more cautious approach and deduct 57 bps from each portfolio's monthly excess returns.”
From Empirical asset pricing via machine learning: evidence from the European stock market (2021) · cites this paper as Koijen et al. (2018)
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Liquidity Risk and Expected Stock Returns
Pástor, Ľ., & Stambaugh, R. F. (2003) · Journal of Political Economy · doi:10.1086/374184 · Cited by 5,364
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Market Liquidity and Funding Liquidity
Brunnermeier, M. K., & Pedersen, L. H. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 5,014
Self-citationEmpirical exchange rate models of the seventies
Meese, R. A., & Rogoff, K. (1983) · Journal of International Economics · doi:10.1016/0022-1996(83)90017-x · Cited by 4,120
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 4,033
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2000) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,011
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,575
Asset pricing with liquidity risk
Acharya, V. V., & Pedersen, L. H. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,817
Self-citationValue versus Growth: The International Evidence
Fama, E. F., & French, K. R. (1998) · The Journal of Finance · doi:10.1111/0022-1082.00080 · Cited by 2,235
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Dissecting Characteristics Nonparametrically
Freyberger, J., Neuhierl, A., & Weber, M. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz123 · Cited by 619
Is There a Replication Crisis in Finance?
Jensen, T. I., Kelly, B., & Pedersen, L. H. (2023) · The Journal of Finance · doi:10.1111/jofi.13249 · Cited by 582
Self-citationUnderstanding the Sources of Risk Underlying the Cross Section of Commodity Returns
Bakshi, G., Gao, X., & Rossi, A. G. P. (2017) · Management Science · doi:10.1287/mnsc.2017.2840 · Cited by 199
Unconventional Monetary Policy and International Risk Premia
Rogers, J. H., Scotti, C., & Wright, J. H. (2018) · Journal of money credit and banking · doi:10.1111/jmcb.12511 · Cited by 174
Boons, M., & Prado, M. P. (2018) · The Journal of Finance · doi:10.1111/jofi.12738 · Cited by 145
Metadata
- Authors
- Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B.
- Affiliations
- National Bureau of Economic Research (US)
- Copenhagen Business School (DK)
- Vrije Universiteit Amsterdam (NL)
- Corresponding author
- Koijen, Ralph S.J.
- ORCID
- Pedersen, Lasse Heje
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2018-02
- Volume
- 127
- Issue
- 2
- Pages
- 197-225
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W4234492972
- Cited by
- 286
- References
- 64
- Citations by year
- 2026: 22 · 2025: 36 · 2024: 22 · 2023: 46 · 2022: 40 · 2021: 42 · 2020: 22 · 2019: 24 · 2018: 24
- FWCI
- 30.18
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Locations
- Journal of Financial Economics (publishedVersion)
- VU Research Portal (publishedVersion)
- CBS Research Portal (Copenhagen Business School) (acceptedVersion, cc-by-nc-nd)
- Data Archiving and Networked Services (DANS) (submittedVersion)
- Funders
- European Research Council (338082, 312417)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Keywords
- carry, return predictability, asset pricing, uncovered interest parity, expectations hypothesis, risk premium, recession risk, liquidity risk, volatility risk, cross-section of returns, equity, bonds, commodities, options, credit
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